Many dogs are sound phobic and understandably frightened of loud unpredicatable noises like fireworks and thunderstorms. They are understandably frightened by these noises as they do not understand that they are not going to harm them.
Our behaviour can exacerbate this. If we change our behaviour when these noises occur this can make our pet will be more anxious.
We often do not know peoples pets have noise phobias until the 5th November when there is little training or counter conditioning that we can do to try and train a dog into not being scared of loud noises and have little option but to use sedatives. Obviously drawing the curtains, having the radio on and providing a safe 'den' the dog can seek refuge in may help.
Ideally a dog should learn that noises are not frightening and this needs to be done well in advance of their occurrence and is best done when your puppy is young and being socialised. The dogs trust have produced a booklet describing how to counter-conditon, or get your dog gently accustomed to strange noises. This website includes recordings of fireworks and other strange noises (traffic, crying babies) which you may like to use. Remember to start quiet!
More sensible advice can be found here http://vetbehaviour.info/dogs/20-noise-fears-in-dogs.html